Value Relevance of Issuers’ Securitized Financial Assets

• Main Authors: Chia-feng Chuang, 莊佳峰
• Other Authors: Wei-tzu Chen
• Format: Others
• Language: en_US
• Published: 2008
• Online Access: http://ndltd.ncl.edu.tw/handle/73e444

碩士 === 東吳大學 === 會計學系 === 96 === Due to the collapse of Enron, individuals and organizations related to securitizations now focus their attention on whether accounting recognition and disclosure requirements for securitizations are adequate for investors to understand the economic costs and benefits of the securitization transaction on the originator. This study investigates the value relevance of securitized financial assets under current financial accounting standards by examining whether the market views the typical securitization transaction as a sale or as a secured borrowing. This study attempts to supplement the findings of the earlier studies. It is similar to the previous studies in that the focus is on the valuation of asset securitizations. If differs from previous studies, however, in the way this study enhances the finding of Landsman et al. (2006) by providing a much more detailed examination of the different types of securitized loans. This study examines the association between equity market value and asset securitizations by using two different specifications of a valuation model (Ohlson, 1995). The results of this study showed that the market regards total securitized loans, securitized mortgages, and securitized consumer loans as on-balance sheet assets; and the market regards securitized commercial loans as off-balance sheet items.